A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
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Publication:882907
DOI10.1007/S11203-005-0532-2zbMath1115.60024OpenAlexW1965745196MaRDI QIDQ882907
Jacques Lévy-Véhel, Antoine Ayache, Pierre R. Bertrand
Publication date: 24 May 2007
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-005-0532-2
Hurst indexgeneralized quadratic variationdetection of abrupt changesrandom wavelet seriesstep fractional Brownian motion
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Cites Work
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- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Arbitrage in fractional Brownian motion models
- Testing for the Presence of Self-Similarity of Gaussian Time Series Having Stationary Increments
- A local method for estimating change points: the “Hat-function”
- Fractional Brownian Motions, Fractional Noises and Applications
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